There is strong positive predictability from a security’s own past returns for almost five dozen diverse futures and forward contracts that include country equity indexes, currencies, commodities and sovereign bonds over more than 25 years of data.

The paper listed various time-series momentum signals which basically go long when prices move up and short when prices move down.

The paper describes a backward looking measure, "trendpot", which indicates whether a medium to long term trend following system would potentially have been profitable when applied to that particular market during the preceding month.